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I'm trying to make a database in which objects are related to each other. I was wondering what the best approach for drawing these connections would be? Should each object contain a list of pointers to other objects that they are related to? Or should there be some set of lists for the database mapping out the data, then using these lists related objects could be found?

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"A database in which objects are related to each other" is the definition of a relational database. I'm not sure exactly what your application is or what you are using this database for. So without that information, I would suggest you utilize already existing technologies (SQL). Depending on your programming language (I assume C or C++), there are many options available to you. SQLite is a great library.

If you are wanting to create your own database system from scratch, there are tons of books and resources out there. I have never gone this route, so I cannot recommend anything. Maybe more information on your problem would be helpful.